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GLSMultipleLinearRegression (Commons Math 3.2 API)
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org.apache.commons.math3.stat.regression</FONT>
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Class GLSMultipleLinearRegression</H2>
<PRE>
<A HREF="http://download.oracle.com/javase/6/docs/api/java/lang/Object.html?is-external=true" title="class or interface in java.lang">java.lang.Object</A>
  <IMG SRC="../../../../../../resources/inherit.gif" ALT="extended by "><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">org.apache.commons.math3.stat.regression.AbstractMultipleLinearRegression</A>
      <IMG SRC="../../../../../../resources/inherit.gif" ALT="extended by "><B>org.apache.commons.math3.stat.regression.GLSMultipleLinearRegression</B>
</PRE>
<DL>
<DT><B>All Implemented Interfaces:</B> <DD><A HREF="../../../../../../org/apache/commons/math3/stat/regression/MultipleLinearRegression.html" title="interface in org.apache.commons.math3.stat.regression">MultipleLinearRegression</A></DD>
</DL>
<HR>
<DL>
<DT><PRE>public class <B>GLSMultipleLinearRegression</B><DT>extends <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</A></DL>
</PRE>

<P>
The GLS implementation of the multiple linear regression.

 GLS assumes a general covariance matrix Omega of the error
 <pre>
 u ~ N(0, Omega)
 </pre>

 Estimated by GLS,
 <pre>
 b=(X' Omega^-1 X)^-1X'Omega^-1 y
 </pre>
 whose variance is
 <pre>
 Var(b)=(X' Omega^-1 X)^-1
 </pre>
<P>

<P>
<DL>
<DT><B>Since:</B></DT>
  <DD>2.0</DD>
<DT><B>Version:</B></DT>
  <DD>$Id: GLSMultipleLinearRegression.java 1416643 2012-12-03 19:37:14Z tn $</DD>
</DL>
<HR>

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<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#GLSMultipleLinearRegression()">GLSMultipleLinearRegression</A></B>()</CODE>

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</TD>
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<CODE>protected &nbsp;<A HREF="../../../../../../org/apache/commons/math3/linear/RealVector.html" title="class in org.apache.commons.math3.linear">RealVector</A></CODE></FONT></TD>
<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#calculateBeta()">calculateBeta</A></B>()</CODE>

<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calculates beta by GLS.</TD>
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<TD ALIGN="right" VALIGN="top" WIDTH="1%"><FONT SIZE="-1">
<CODE>protected &nbsp;<A HREF="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</A></CODE></FONT></TD>
<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#calculateBetaVariance()">calculateBetaVariance</A></B>()</CODE>

<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calculates the variance on the beta.</TD>
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<CODE>protected &nbsp;double</CODE></FONT></TD>
<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#calculateErrorVariance()">calculateErrorVariance</A></B>()</CODE>

<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calculates the estimated variance of the error term using the formula
 
  Var(u) = Tr(u' Omega^-1 u)/(n-k)
 
 where n and k are the row and column dimensions of the design
 matrix X.</TD>
</TR>
<TR BGCOLOR="white" CLASS="TableRowColor">
<TD ALIGN="right" VALIGN="top" WIDTH="1%"><FONT SIZE="-1">
<CODE>protected &nbsp;<A HREF="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</A></CODE></FONT></TD>
<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#getOmegaInverse()">getOmegaInverse</A></B>()</CODE>

<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Get the inverse of the covariance.</TD>
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<CODE>protected &nbsp;void</CODE></FONT></TD>
<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#newCovarianceData(double[][])">newCovarianceData</A></B>(double[][]&nbsp;omega)</CODE>

<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Add the covariance data.</TD>
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<CODE>&nbsp;void</CODE></FONT></TD>
<TD><CODE><B><A HREF="../../../../../../org/apache/commons/math3/stat/regression/GLSMultipleLinearRegression.html#newSampleData(double[], double[][], double[][])">newSampleData</A></B>(double[]&nbsp;y,
              double[][]&nbsp;x,
              double[][]&nbsp;covariance)</CODE>

<BR>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Replace sample data, overriding any previous sample.</TD>
</TR>
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&nbsp;<A NAME="methods_inherited_from_class_org.apache.commons.math3.stat.regression.AbstractMultipleLinearRegression"><!-- --></A>
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<TR BGCOLOR="#EEEEFF" CLASS="TableSubHeadingColor">
<TH ALIGN="left"><B>Methods inherited from class org.apache.commons.math3.stat.regression.<A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</A></B></TH>
</TR>
<TR BGCOLOR="white" CLASS="TableRowColor">
<TD><CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateResiduals()">calculateResiduals</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateYVariance()">calculateYVariance</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateErrorVariance()">estimateErrorVariance</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressandVariance()">estimateRegressandVariance</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionParameters()">estimateRegressionParameters</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionParametersStandardErrors()">estimateRegressionParametersStandardErrors</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionParametersVariance()">estimateRegressionParametersVariance</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateRegressionStandardError()">estimateRegressionStandardError</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#estimateResiduals()">estimateResiduals</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#getX()">getX</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#getY()">getY</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#isNoIntercept()">isNoIntercept</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#newSampleData(double[], int, int)">newSampleData</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#newXSampleData(double[][])">newXSampleData</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#newYSampleData(double[])">newYSampleData</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#setNoIntercept(boolean)">setNoIntercept</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#validateCovarianceData(double[][], double[][])">validateCovarianceData</A>, <A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#validateSampleData(double[][], double[])">validateSampleData</A></CODE></TD>
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<A NAME="GLSMultipleLinearRegression()"><!-- --></A><H3>
GLSMultipleLinearRegression</H3>
<PRE>
public <B>GLSMultipleLinearRegression</B>()</PRE>
<DL>
</DL>

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<A NAME="newSampleData(double[], double[][], double[][])"><!-- --></A><H3>
newSampleData</H3>
<PRE>
public void <B>newSampleData</B>(double[]&nbsp;y,
                          double[][]&nbsp;x,
                          double[][]&nbsp;covariance)</PRE>
<DL>
<DD>Replace sample data, overriding any previous sample.
<P>
<DD><DL>
<DT><B>Parameters:</B><DD><CODE>y</CODE> - y values of the sample<DD><CODE>x</CODE> - x values of the sample<DD><CODE>covariance</CODE> - array representing the covariance matrix</DL>
</DD>
</DL>
<HR>

<A NAME="newCovarianceData(double[][])"><!-- --></A><H3>
newCovarianceData</H3>
<PRE>
protected void <B>newCovarianceData</B>(double[][]&nbsp;omega)</PRE>
<DL>
<DD>Add the covariance data.
<P>
<DD><DL>
<DT><B>Parameters:</B><DD><CODE>omega</CODE> - the [n,n] array representing the covariance</DL>
</DD>
</DL>
<HR>

<A NAME="getOmegaInverse()"><!-- --></A><H3>
getOmegaInverse</H3>
<PRE>
protected <A HREF="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</A> <B>getOmegaInverse</B>()</PRE>
<DL>
<DD>Get the inverse of the covariance.
 <p>The inverse of the covariance matrix is lazily evaluated and cached.</p>
<P>
<DD><DL>

<DT><B>Returns:</B><DD>inverse of the covariance</DL>
</DD>
</DL>
<HR>

<A NAME="calculateBeta()"><!-- --></A><H3>
calculateBeta</H3>
<PRE>
protected <A HREF="../../../../../../org/apache/commons/math3/linear/RealVector.html" title="class in org.apache.commons.math3.linear">RealVector</A> <B>calculateBeta</B>()</PRE>
<DL>
<DD>Calculates beta by GLS.
 <pre>
  b=(X' Omega^-1 X)^-1X'Omega^-1 y
 </pre>
<P>
<DD><DL>
<DT><B>Specified by:</B><DD><CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateBeta()">calculateBeta</A></CODE> in class <CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</A></CODE></DL>
</DD>
<DD><DL>

<DT><B>Returns:</B><DD>beta</DL>
</DD>
</DL>
<HR>

<A NAME="calculateBetaVariance()"><!-- --></A><H3>
calculateBetaVariance</H3>
<PRE>
protected <A HREF="../../../../../../org/apache/commons/math3/linear/RealMatrix.html" title="interface in org.apache.commons.math3.linear">RealMatrix</A> <B>calculateBetaVariance</B>()</PRE>
<DL>
<DD>Calculates the variance on the beta.
 <pre>
  Var(b)=(X' Omega^-1 X)^-1
 </pre>
<P>
<DD><DL>
<DT><B>Specified by:</B><DD><CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateBetaVariance()">calculateBetaVariance</A></CODE> in class <CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</A></CODE></DL>
</DD>
<DD><DL>

<DT><B>Returns:</B><DD>The beta variance matrix</DL>
</DD>
</DL>
<HR>

<A NAME="calculateErrorVariance()"><!-- --></A><H3>
calculateErrorVariance</H3>
<PRE>
protected double <B>calculateErrorVariance</B>()</PRE>
<DL>
<DD>Calculates the estimated variance of the error term using the formula
 <pre>
  Var(u) = Tr(u' Omega^-1 u)/(n-k)
 </pre>
 where n and k are the row and column dimensions of the design
 matrix X.
<P>
<DD><DL>
<DT><B>Overrides:</B><DD><CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html#calculateErrorVariance()">calculateErrorVariance</A></CODE> in class <CODE><A HREF="../../../../../../org/apache/commons/math3/stat/regression/AbstractMultipleLinearRegression.html" title="class in org.apache.commons.math3.stat.regression">AbstractMultipleLinearRegression</A></CODE></DL>
</DD>
<DD><DL>

<DT><B>Returns:</B><DD>error variance<DT><B>Since:</B></DT>
  <DD>2.2</DD>
</DL>
</DD>
</DL>
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